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On the co-movements among Stock prices and exchange rates cointegration: a VAR/VECM approach

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  • Moussa Wajdi

Abstract

In this paper, based on the cointegration test, the causality test and the VECM model, we have shown that there is a two-way causality and a long-term relationship between the stock market and the exchange rate of each country. Our results lead to important implications from the point of view of investors and policy makers. They are highly relevant to the financial decisions of international investors on the management of their risks exposed to fluctuations in exchange rates and stock prices and on the benefits of potential diversification opportunities that may arise due to the decline in dependence between exchange rates and stock prices. JEL classification numbers: C1, C53, F37, G15Keywords: Exchange rates, Stock Prices, VECM Model, Granger Causality.

Suggested Citation

  • Moussa Wajdi, 2019. "On the co-movements among Stock prices and exchange rates cointegration: a VAR/VECM approach," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 8(1), pages 1-5.
    • Handle: RePEc:spt:fininv:v:8:y:2019:i:1:f:8_1_5
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    References listed on IDEAS

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    More about this item

    Keywords

    exchange rates; stock prices; vecm model; granger causality.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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